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Ogutu, Carolyne
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Lundengård, K., Ogutu, C., Silvestrov, S., Ni, Y. & Weke, P. (2017). Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases. In: Sivasundaram, S (Ed.), AIP Conference Proceedings: . Paper presented at 11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, ICNPAA 2016, 4 July 2016 through 8 July 2016 (pp. 020094-1-020094-7). American Institute of Physics (AIP), 1798, Article ID 020094.
Open this publication in new window or tab >>Construction of moment-matching multinomial lattices using Vandermonde matrices and Gröbner bases
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2017 (English)In: AIP Conference Proceedings / [ed] Sivasundaram, S, American Institute of Physics (AIP), 2017, Vol. 1798, p. 020094-1-020094-7, article id 020094Conference paper, Published paper (Refereed)
Abstract [en]

In order to describe and analyze the quantitative behavior of stochastic processes, such as the process followed by a financial asset, various discretization methods are used. One such set of methods are lattice models where a time interval is divided into equal time steps and the rate of change for the process is restricted to a particular set of values in each time step. The well-known binomial- and trinomial models are the most commonly used in applications, although several kinds of higher order models have also been examined. Here we will examine various ways of designing higher order lattice schemes with different node placements in order to guarantee moment-matching with the process. 

Place, publisher, year, edition, pages
American Institute of Physics (AIP), 2017
National Category
Mathematics Probability Theory and Statistics
Research subject
Mathematics/Applied Mathematics
Identifiers
urn:nbn:se:mdh:diva-35007 (URN)10.1063/1.4972686 (DOI)000399203000094 ()2-s2.0-85013643900 (Scopus ID)9780735414648 (ISBN)
Conference
11th International Conference on Mathematical Problems in Engineering, Aerospace and Sciences, ICNPAA 2016, 4 July 2016 through 8 July 2016
Funder
Sida - Swedish International Development Cooperation Agency
Available from: 2017-03-09 Created: 2017-03-09 Last updated: 2017-09-01Bibliographically approved
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